Related papers: Optimal Mix Among PAYGO, EET and Individual Saving…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate in time like a broken clock that might occasionally move…
In this paper, we consider a status update system, where an access point collects measurements from multiple sensors that monitor a common physical process, fuses them, and transmits the aggregated sample to the destination over an erasure…
Coupon allocation drives customer purchases and boosts revenue. However, it presents a fundamental trade-off between exploiting the current optimal policy to maximize immediate revenue and exploring alternative policies to collect data for…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Achieving a socially desirable operating point for a multimodal transportation system is challenging when Autonomous Mobility-on-Demand (AMoD) and Public Transit (PT) operators pursue selfish objectives alongside endogenous passenger…
We study a spatiotemporal service matching problem in which demand, heterogeneous in location and time sensitivity/preference, is to be assigned to service stations. The planner seeks to maximize social welfare, defined as total service…
We investigate in this paper the theory and econometrics of optimal matchings with competing criteria. The surplus from a marriage match, for instance, may depend both on the incomes and on the educations of the partners, as well as on…
We investigate computational and mechanism design aspects of scarce resource allocation, where the primary rationing mechanism is through waiting times. Specifically we consider allocating medical treatments to a population of patients.…
We study a mechanism design problem where a community of agents wishes to fund public projects via voluntary monetary contributions by the community members. This serves as a model for public expenditure without an exogenously available…
The large adoption of EVs brings practical interest to the operation optimization of the charging station. The joint scheduling of pricing and charging control will achieve a win-win situation both for the charging station and EV drivers,…
The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities take their policy decisions maximizing their own welfare,…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
Allocating conflicting jobs among individuals while respecting a budget constraint for each individual is an optimization problem that arises in various real-world scenarios. In this paper, we consider the situation where each individual…
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parties can choose a mutually preferred first-loss scheme in a…
In evolutionary algorithms, the fitness of a population increases with time by mutating and recombining individuals and by a biased selection of more fit individuals. The right selection pressure is critical in ensuring sufficient…
For $n$ assets and discrete-time rebalancing, the probability to complete a given schedule of investments and withdrawals is maximized over progressively measurable portfolio weight functions. Applications consider two assets, namely the…